Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0357
Annualized Std Dev 0.3586
Annualized Sharpe (Rf=0%) -0.0996

Row

Daily Return Statistics

Close
Observations 5581.0000
NAs 1.0000
Minimum -0.7286
Quartile 1 -0.0087
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean -0.0001
Quartile 3 0.0100
Maximum 0.2024
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0008
Variance 0.0005
Stdev 0.0226
Skewness -6.9360
Kurtosis 209.8535

Downside Risk

Close
Semi Deviation 0.0180
Gain Deviation 0.0138
Loss Deviation 0.0221
Downside Deviation (MAR=210%) 0.0217
Downside Deviation (Rf=0%) 0.0179
Downside Deviation (0%) 0.0179
Maximum Drawdown 0.9675
Historical VaR (95%) -0.0300
Historical ES (95%) -0.0512
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-02 NA -0.9675 3362 334 NA
2000-02-11 2001-04-03 2002-03-19 -0.5096 525 288 237
2002-04-24 2003-03-11 2004-01-05 -0.3957 429 222 207
2006-05-09 2007-03-05 2007-07-09 -0.2784 293 206 87
1999-07-12 1999-10-05 1999-12-27 -0.2782 118 61 57

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.3 1.4 1.8 -2.4 2.1 3.4 1.3 -2.6 0.5 4.9 1.3 1.5 15.1
2000 -1.2 6.5 0.4 3.5 2 0.9 2.9 0 -1.2 1.2 4 1.1 21.8
2001 -1.2 -12.5 1.1 -0.3 0.7 1.5 2.9 -1.8 -2.1 0.8 1.6 2 -7.9
2002 -0.7 4 -1.5 -0.1 -2.3 -1.1 -1.8 0.4 1.9 -0.8 0.2 5.3 3.3
2003 1.4 -1.2 0.9 -0.2 1.3 0.1 -0.1 0.8 4 -0.3 2.5 2 11.6
2004 1 2.3 1.3 -1.3 -0.1 -1.8 -0.3 1.8 1.8 1.2 3.4 1.2 10.9
2005 -0.3 1 2.3 -0.2 -0.1 0.4 0.5 2.6 -0.2 2.4 1.5 1.3 12
2006 -0.7 0.4 1.6 0.7 1.2 1.6 -1.7 1.2 0.3 0.1 -0.1 -0.3 4.3
2007 2.4 -2.3 -0.1 0 3.1 -0.1 -2.8 2.7 1.6 -3 1.5 -1.3 1.4
2008 1 -4.1 5.5 0.8 0.8 -0.6 -1.4 -1.8 -2.1 1 -4.3 6.2 0.4
2009 1 -1.2 4.7 1.4 3.4 3.2 0.9 0.6 -4.2 -4 2.4 1.5 9.7
2010 2.3 1 2.9 -0.4 -0.7 -0.6 -0.3 3.4 1.8 2 1.9 0.1 14.2
2011 2.8 -1.7 1.5 0.6 -1.5 1.2 1.9 0.7 -2.7 -1.7 1.1 0.2 2.2
2012 0 1.3 0.6 0.3 -2.9 3.7 -0.4 0.7 0.6 0.4 0.4 1.5 6.2
2013 0.4 -0.5 -0.2 -0.6 -1.1 1.5 1.7 1.7 1.3 0.8 1.2 0.7 6.9
2014 1 0.1 0.9 1.1 -0.6 0.3 -0.3 -0.4 -1.6 -0.6 -0.5 -0.3 -0.9
2015 -0.5 0.1 1 -0.1 -1.2 2.3 -0.1 -0.8 0.8 0.7 1.5 0.3 4.2
2016 1.5 1.9 -1 -0.9 0.3 1.2 1.5 -0.6 0.2 -0.9 0.2 0.2 3.5
2017 0 0.2 0.1 0.6 0.3 0.3 0.5 0 0.4 1.8 -0.6 1.3 4.9
2018 -0.5 0 1.7 0.4 0.7 1.8 0 0.2 -0.3 2.5 -1.1 0.2 5.4
2019 -1.3 1.5 2.1 0.2 -0.4 -0.1 -1.5 1.3 0.1 1.6 -2.1 0.2 1.4
2020 -3.4 -1.2 -5.8 -1.4 2.2 2.5 0.2 1.2 0.4 -2 1.3 0.3 -5.9
2021 3.1 2.2 0.1 NA NA NA NA NA NA NA NA NA 5.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  96.2 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05 102.  SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06 109.  SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07 108.  SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08 104.  SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11 103.  SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart